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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDH2 dips after latest 3M LIBOR set' +0.00813 to 0.21088% (+0.01263/wk), levels trade mildly weaker out the strip, Green Dec (EDZ4) remains inverted through Gold Jun (EDM6). Current levels:

Mar 22 -0.005 at 99.695

Jun 22 -0.010 at 99.50

Sep 22 -0.005 at 99.295

Dec 22 -0.005 at 99.025
Red Pack (Mar 22-Dec 23) -0.015 to -0.01

Green Pack (Mar 23-Dec 24) -0.01 to -0.01

Blue Pack (Mar 24-Dec 25) -0.015 to -0.01

Gold Pack (Mar 25-Dec 26) -0.015 to -0.01

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